The leadag relation between the s&p500 spot and futures markets: An intraday-data analysis using a threshold regression model

Japanese Economic Review

Volumn 61, Issue 1, 2010, Pages 133-144

  Tse, Yiu Kuen ^a   Chan, Wai Sum ^b  

^a SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

CAPITAL FLOW; ECONOMIC ANALYSIS; FUTURE PROSPECT; INDEX METHOD; MARKET SYSTEM; REGRESSION ANALYSIS; THRESHOLD;

UNITED STATES;

EID: 77950252995     PISSN: 13524739     EISSN: 14685876     Source Type: Journal    
DOI: 10.1111/j.1468-5876.2009.00481.x     Document Type: Article

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